Alpha India ME – Looking for shorts

Since our bias is negative, we are going to look for short opportunities. How do we do it? First we look at the top performing sectors. The three top performing sectors are banks, auto and consumer durables. After the sector filter, we look at the top performing components among the respective sectors. The list was filtered further for the LOSO filter to see if there was some stocks running a long only signal. Bajaj is still running a long only signal. Our final short list is Cummins, Tata Motors, Canara Bank, Bank of Baroda and Axis Bank.
Naked shorts come with some risk. So to reduce the risk we also looked for the best holds. Combining best shorts with best longs (holds) could reduce overall portfolio risk. To reach the long (hold) list, we repeated the filtering exercise. First we filtered the sectors. BSE Power and BSEOIL were among the worst performing sectors. Among these sectors Reliance and Suzlon were clearly the worst. For us worst to worst were the best hold. We of course filtered them for the running LOSO signals.


Alpha is a daily strategy signal product that gives long only, short only, pair trading signals. Alpha is a numeric Ranking product based on TIME fractals. The signals are carried over minor (10-30 days) and intermediate (above 30 days) time frame. The signals are illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.
Naked and/or pair strategies are not riskless strategies. Time arbitrage portfolio legs should be risk weighted before any implementation. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the Orpheus Research products.
Performance cycles (Rieki) is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. Rieki is a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.
Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.
Stop loss and exits are activated at 4%
Coverage India: BSE 500 stocks, Indian Indices, Commodities, Currency and Bonds.
Michesan Anna-Maria, the columnist for the WAVES.INDIA weekly and Head of India Research. Anna discovered her interest of markets immediately after completing her graduate studies in Economics. She followed it up with post graduate studies in corporate finance. A host of research work in behavioral finance, option strategies and quantifying market sentiment followed. Anna covers Indian equity and combines Elliott, Time Fractals and Time Analytics to deliver accuracy across time frames. To review some of her work, check out the annual India accuracy report 2009.
India Accuracy Report 2009